Asymmetric mean reversion of Bitcoin price returns

Article English OPEN
Corbet, S; Katsiampa, Paraskevi;
(2018)

© 2018 Elsevier Inc. Non-linearity is characterised by an asymmetric mean-reverting property, which has been found to be inherent in the short-term return dynamics of stocks. In this paper, we explore as to whether cryptocurrency returns, as represented by Bitcoin, exhi... View more
Share - Bookmark